The effects of COVID-19 on Chinese stock markets: an EGARCH approach

Kerry Liu

Economic and Political Studies, 2021, vol. 9, issue 2, 148-165

Abstract: Coronavirus disease 2019 (COVID-19), the disease caused by the novel coronavirus SARS-CoV-2, has greatly affected financial markets, economies and societies worldwide. This study focusses on the Chinese stock markets. Based on Google Trends data during the period from 1 January 2020 to 12 April 2020, and using the exponential generalised autoregressive conditional heteroskedastic (EGARCH) model, this study finds that the higher uncertainty resulting from the COVID-19 pandemic is significantly associated with the drop in China’s composite index, but this impact varies by sectors. Simultaneously, the higher uncertainty due to COVID-19 is significantly associated with greater volatility in stock returns for both the composite index and sector indices.

Date: 2021
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DOI: 10.1080/20954816.2020.1814548

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